A Note on Inequality Constraints in the GARCH Model (SHORT RUNNING TITLE: GARCH Inequality Constraints)

Abstract

Abstract: We consider the parameter restrictions that need to be imposed in order to ensure that the conditional variance process of a GARCH(p, q) model remains non-negative. Previously, We also point out the linkage between the absolute monotonicity of the GARCH 1 2 generating function and the non-negativity of the GARCH kernel, and use it to provide examples of sufficient conditions for this non-negativity property to hold

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